Even though it is fictional, the location should be believable. Sue said the Sedona area in AZ, although now overly commercial, has the waterfalls and caves like what I need. It is in Oak Creek Canyon. Slide Rock on the Sycamore River is a mountainous area with red rock.
The Tonto National Forest NE of Phoenix on the Fort Apache Indian Reservation also needs to be looked into.
Prescott has the saguaros.
The Canyon de Chelle National Monument area also might work.
Julie said Wolf's Creek Pass in CO is on Highway 160, and leads down to the four corner area.
Now off to the Internet to see if I can find photos of the different areas. I wonder if Arizona Highways is still around? If that were on line, I could tell pretty fast what I need.
My nightmare is no arroyos within walking distance of places with fire ants, scorpions, waterfalls, caves, desert, and saguaro cacuts.